New methods in fixed income modeling : fixed income modeling /: fixed income modeling. ([2018])

• Record Type: Book
• Further Information: Note: Mehdi Mili, Reyes Samaniego Medina, Filippo di Pietro, editors.
• Editors: Mili, Mehdi; Medina, Reyes Samaniego; Di Pietro, Filippo
• Contents: Intro; Preface; Scientific Committee; Contents; New Term Structure Modeling Approaches; Term Structure, Market Expectations of the Short Rate, and Expected Inflation; 1 Introduction; 2 A New Usage of the Classic Model; 2.1 Instantaneous Forward Rate; 2.2 Volatility Term Structure and Markov Representation; 2.3 A Closer Look at the Companion Form Realization; 3 Empirical Results; 3.1 Data, Parameter Estimates, and Fitting Performance; 3.2 State Variables; 3.3 Yields Responses; 3.4 Case Studies: Impacts of LSAP, MEP, and QE3 Announcements; 4 Conclusions Appendix 1: State Variables as the Forward Curve CharacteristicsAppendix 2: Expected Inflation and Short Rate Expectations; References; A New Approach to CIR Short-Term Rates Modelling; 1 Literature Review; 2 Numerical and Empirical Results; 3 Conclusions; References; The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced; 1 Introduction; 2 The MRS-HJM Model with Jumps; 3 No-Arbitrage Drift Condition I; 4 No-Arbitrage Drift Condition II; 5 Conclusion; References; Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework; 1 Financial Terminology and Notation 2 Introduction to the Problem3 Affine Jump-Diffusions; 3.1 Exponentially Affine Term Structure; 3.2 The Vasiček Model with Double Exponential Jumps; 4 A Model for the Post-crisis Spot LIBOR; 4.1 V-DEJ/EJ+ Model; 5 Conclusions; References; An Overview of Post-crisis Term Structure Models; 1 Introduction; 2 Post-crisis Interest Markets: Single- Versus Multi-curve Universe; 3 Post-crisis Term Structure Models; 3.1 Short-Rate Models for Multiple Curves; 3.2 Libor Market Models for Multiple Curves; 3.3 Economic Scenario Generators for Term Structures; 4 Conclusion and Outlook; References A Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Framework1 Introduction; 2 Methodology; 2.1 Notational Conventions; 2.2 Sample Estimator; 2.3 Shrinkage and Nonlinear Shrinkage Estimators; 2.4 Minimum Covariance Determinant and Minimum Regularised Covariance Determinant; 3 Case Study; 3.1 Data Description; 3.2 Results; 4 Conclusion; References; The Term Structure Under Non-linearity Assumptions: New Methods in Time Series; 1 Introduction; 2 The Term Structure and the Expectations Hypothesis of the Term Structure; 3 Evidence by Region; 3.1 The USA 3.2 European Monetary Union4 Time Series Applications of the Term Structure: The FCVAR; 5 Monetary Policy and Controllability of Interest Rates; 6 Conclusions; References; Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Finance; 1 Roadmap and Main Results; 2 Introduction to CIR and BESQ Processes; 2.1 Construction of BESQ Processes; 3 Characterization of Affine Processes; 4 Affine Short Rate Models and Pricing Formulas; 5 BESQ Processes Approach to the Dividend Dynamics Structure; References; New Advances in Fixed Income Management
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 332.63/2044; Finance; Fixed-income securities -- Mathematical models; BUSINESS & ECONOMICS / Finance; Fixed-income securities -- Mathematical models; Finance; Risk Management; Business Finance; Investments and Securities; Financial Engineering; Quantitative Finance; Business & Economics -- Corporate Finance; Business & Economics -- Investments & Securities; Mathematics -- Applied; Corporate finance; Investment & securities; Finance; Finance & accounting; Risk management; Investment banking; Securities; Financial engineering; Business & Economics -- Insurance -- Risk Assessment & Management; Management & management techniques; Electronic books
• Languages: English
• ISBNs: 9783319952857; 3319952854
• Related ISBNs: 9783319952840; 3319952846
• Notes: Note: Description based on online resource; title from digital title page (viewed on September 12, 2018).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.